I thought it was a clever choice as it played with the sad
situation of the modern world, transforming the disgusting manipulation
of people through fear by the goverments to a"guarded" state of the romantic(=blue) heart.

I have been assuming it is playing with two meanings of the word 'blue' to provide a warning about the consequences of love affairs. One meaning is of sadness (as in 'the blues') and the other refers to the atmosphere of fevered and dangerous eroticism that pervades the song (as in 'blue movies').

The implication I read is that we better watch out for the consequences of passionate infatuation.

I took it clearly as what you're saying, David, on the first of the two meanings of 'blue.' I hadn't arrived at the second one, yet.

Your interpretation, Dem, holds favour in terms of Leonard's erotica-love-politico writing. It would depend on when the alert levels were devised, as opposed to when the song was written... with all the references to blue, including the title. If they were in effect during the time of its writing, it certainly can't be excluded... since the song relates to 'need of' 'guardedness,' in fear of love's eventually bringing the blues.

"The color code system was created by Presidential Directive six months after the terror attacks of September 11, 2001, to provide a "comprehensive and effective means to disseminate information regarding the risk of terrorist acts to Federal, State, and local authorities and to the American people."

(read: "to terrorize and manipulate the people
so that they trust and don't question the actions of Federal, State, and local authorities")

I figured it was devised as a result of September 11th... since that's when I was aware of its beginning to be used... and may have known then that it was created then [of course, I don't trust all of its usages, but then that's a given].

As to when the song was written, I have no idea when the germ of it was created, but its finalization seems to have occurred with Leonard and Anjani's collaboration. I have no idea what content and verbiage were pre-existing and what, not. It's looking like you could be on to something, though .